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CME is incorrect for 2023-04-07, market is open #244

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monsieur40a opened this issue Feb 15, 2023 · 0 comments
Open

CME is incorrect for 2023-04-07, market is open #244

monsieur40a opened this issue Feb 15, 2023 · 0 comments

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@monsieur40a
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https://www.cmegroup.com/trading-hours.html#foi=F&tradeDate=2023-04-07&pageNumber=1&search=es

import pandas as pd

cme only has their calendar a year in advance so can only confirm through 2024-02-14

bdate_range = pd.bdate_range("2023-01-01", "2024-02-14")

from pandas_market_calendars import get_calendar
cme_equity = get_calendar("CME_Equity")
cme_schedule = cme_equity.schedule(start_date="2023-01-01", end_date="2024-02-14")
cme_equity_holidays_df = pd.DataFrame(cme_equity.holidays().holidays, columns=["holidays"])

cme_schedule_set = set(cme_schedule.index.to_list())

print(cme_schedule_set - bdate_range_set)

need to remove 2023-04-07

print(bdate_range_set - cme_schedule_set)

2023-04-07 is a holiday for NYSE but not for CME futures, same thing happens fairly consistently around Good Friday; it's a unique futures session that doesn't correspond to main index being open.

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